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The portfolio significantly outperforms the benchmark, S&P 500, during the three and half years backtest period, from the beginning of the year 2016 to July of the year 2019.
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The universe of stocks is filtered using dollar volume and price criteria. Most of the stocks chosen by the algorithm during the backtest period are small market capitalization stocks.
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In theory, there is an additional factor, to the small P/E ratio factor, contributing to the excess returns of the portfolio, relative to the benchmark. This additional factor is known as the size factor, where size in this respect, is the market capitalization of a stock. 
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<p>
Ranking portfolios on market capitalization and subsequently tracking their performance has demonstrated that portfolio of stocks with a small market capitalization outperforms a portfolio of stocks with large market capitalization. Another investment strategy in the strategy library, <a href="https://www.quantconnect.com/tutorials/strategy-library/small-capitalization-stocks-premium-anomaly">Small Market Capitalization Stock Premium</a>, demonstrates how to form a portfolio that only consists of stocks with relatively low market capitalization.
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